I am trying to show why the OLS estimator in time series models is not conditionally unbiased when using a zero-mean strong AR(1) model. From what I've read so far, this can be done through a Monte Carlo simulation as in here,here, and here. Is this the only way we can prove it?
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Richard Hardy
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Maybeline Lee
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https://stats.stackexchange.com/questions/240383/why-is-ols-estimator-of-ar1-coefficient-biased/241063#241063 – Christoph Hanck Mar 16 '21 at 15:57
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Not unrelated https://stats.stackexchange.com/questions/313119 – Alexis Mar 16 '21 at 17:41
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@RichardHardy, yes, thank you for your suggestion! – Maybeline Lee Mar 16 '21 at 17:58